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Portfolio Analysis / Mean-Variance

Sharpe Stability Ratio

Compute the Sharpe Stability Ratio of a portfolio.

References

post/portfolios/analysis/mean-variance/sharpe-stability-ratio

Request body

riskFreeReturnnumber

The constant risk-free arithmetic return over the considered time period, in percentage; exclusive with riskFreeReturns

riskFreeReturnsnumber[]

riskFreeReturns[t] is the risk-free arithmetic return at the time t; the riskFreeReturns array must have the same length as all the portfolioReturns arrays or the same length minus 1 as all the portfolioValues arrays; exclusive with riskFreeReturn

benchmarkSharpeRatio:number

The benchmark Sharpe Ratio with which to compare the Sharpe Stability Ratio, in the same sampling frequency as the sampling frequency of the portfolio values

Response

OK